Research

Whitepapers

Intra-Day Price Bubbles

In recent years, the topic of price or economic bubbles has received significant attention.

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Inter-Commodity Spreads and Implied Pricing

Implied quoting is a characteristic feature of interest rate futures markets

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Multidimensional Futures Rolls

Calendar rolls are a characteristic feature of futures contracts.

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Market Impact and Alpha

Price impact caused by an aggressive order is a staple of market microstructure research.

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Humans: Are we that predictable?

We are often asked at QB if algorithms are always better than humans. It might surprise the reader that we don’t see this as an “us” vs “them”.

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Hidden Liquidity in CME Futures

Hidden liquidity is resting volume available in the order book, that is not visible in market data but that can be traded against by a suitable marketable order.

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1-Minute Bin Volume Forecast Model

In response to strong client demand, Quantitative Brokers (QB) has developed a new algorithm called Closer that specifically targets the daily settlement price as…

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QB vs. Bulge Bracket Bank Algos

Algorithmic futures trading has recently become very popular among the world largest commodity trading advisors (CTAs), global macro hedge funds…

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Entropy and Futures Contracts

Different futures products show markedly different distributions of activity across contract months. For some products..

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Options on Futures on US Treasuries and S&P 500

Options contracts on the S&P 500 equity index futures, and on the 10-year US Treasury
note…

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Cash Treasuries vs Futures on October 15, 2014

Our study of public market data on October 15 suggests that high frequency trading was not…

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Bid to Cover Ratio Report

A brief report in context of the June 9 WSJ article, which discusses a decline in the bids to debt ratio of the 10-year Gilts…

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Interest Rate Trends May 2014 Newsletter

Overall volume has been steadily increasing following a low point at the end of 2008.

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QB Simulator Performance

QB’s execution simulator is an important tool for developing and evaluating our algorithms

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Mixed FIFO/Pro Rata Match Algorithms

Effective May 29, 2013, the NYSE LIFFE exchange announced a change to the pro rata trade matching algorithm for…

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High-Frequency Event Analysis in Eurex Interest Rate Futures

We investigate the effect of scheduled information releases and auctions on high-frequency trading of…

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Report: US Treasury Futures Roll Microstructure Basics

This report highlights the fundamental microstructure components of the US Treasury futures roll.

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Effect of the Unemployment Report on Interest Rate Futures

We track 62 unique macroeconomic events and calibrate our volume forecasts to the effect of each data release…

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